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Nominal Exchange Rate in Chile: Predictions based on technical analysis

Author

Listed:
  • Ana María Abarca G.
  • Felipe Alarcón G.
  • Pablo Pincheira B.
  • Jorge Selaive C.

Abstract

This work presents a review of the main indicators used in the technical analysis of the peso-dollar parity. We explain the usual interpretations of these indicators and we also explore the ability that the Relative Strength Index (RSI) may have to predict exchange rate returns at daily frequency. The predictive exercises are carried out using both in-sample and out-of-sample analyses. Our results show a robust ability of the RSI to predict nominal exchange rate returns for horizons under seven weeks.

Suggested Citation

  • Ana María Abarca G. & Felipe Alarcón G. & Pablo Pincheira B. & Jorge Selaive C., 2007. "Nominal Exchange Rate in Chile: Predictions based on technical analysis," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 10(2), pages 57-80, August.
    • Handle: RePEc:chb:bcchec:v:10:y:2007:i:2:p:57-80
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    References listed on IDEAS

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    Cited by:

    1. Rodrigo Alfaro & Andrés Sagner, 2009. "When RSI met the Binomial-Tree," Working Papers Central Bank of Chile 520, Central Bank of Chile.
    2. Alfaro, Rodrigo & Sagner, Andres, 2010. "Financial Forecast for the Relative Strength Index," MPRA Paper 25913, University Library of Munich, Germany, revised Apr 2010.

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